Context Globally, depression affects more than 322 million people. Studies exploring the relationship between diet and depression have revealed the benefits of certain dietary patterns and micronutrients in attenuating the symptoms of this disorder. Among these micronutrients, selenium stands out because of its multifaceted role in the brain. Objective To assess the impact of selenium intake and status on symptoms of depression. Data Sources A systematic search was performed in databases, including PubMed, Web of Science, EMBASE, PsycINFO, Scopus, and gray literature (on April 6, 2021, updated on January 28, 2022), without restrictions of date, language, or study type. Data Extraction Studies of adults (18–60 y of age) with depression or depressive symptoms were included. Data on selenium biomarkers and/or intake were included. The risk of bias was assessed using the Joanna Briggs Institute checklists. Data Analysis Of the 10 studies included, 2 were cohorts (n = 13 983 and 3735), 3 were cross-sectional (n = 736, 7725, and 200), 1 was case-control (n = 495), and 4 were randomized controlled trials (n = 30, 11, 38, and 63). Several studies have indicated that low selenium intake or concentration may be associated with symptoms of depression. However, this association was inconsistent across the studies included in this systematic review; due to the high heterogeneity, it was not possible to perform meta-analyses. The main contributing factors to the high heterogeneity include the different methodological designs, methods for diagnosing depression, selenium assessment, and clinical conditions. Conclusion Overall, there is insufficient evidence to support a positive role of selenium status in depression. Studies with more accurate methods and adequate assessment of selenium status are needed to better understand the role of this nutrient in depression. Systematic Review Registration PROSPERO registration no. CRD42021220683.